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Quantitative Finance Volume 9, 2009 - Issue 8
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Research Papers

On the valuation of compositions in Lévy term structure models

Wolfgang Kluge BNP Paribas, 10 Harewood Avenue, London, NW1 6AA, UK
&
Antonis Papapantoleon Financial and Actuarial Mathematics, Vienna University of Technology, Wiedner Hauptstrasse 8/105, 1040 Vienna, AustriaCorrespondence[email protected]
Pages 951-959 | Received 12 Apr 2007, Accepted 06 Feb 2009, Published online: 09 Dec 2009

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Robert Matthijs Verschuren. (2020) Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model. Quantitative Finance 20:7, pages 1123-1148.
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Articles from other publishers (4)

Kathrin Glau, Zorana Grbac & Antonis Papapantoleon. 2016. Advanced Modelling in Mathematical Finance. Advanced Modelling in Mathematical Finance 423 452 .
Martin Keller‐Ressel, Antonis Papapantoleon & Josef Teichmann. (2012) THE AFFINE LIBOR MODELS. Mathematical Finance 23:4, pages 627-658.
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Antonis Papapantoleon. (2010) Old and new approaches to LIBOR modeling. Statistica Neerlandica 64:3, pages 257-275.
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Robert Verschuren. (2018) Stochastic Interest Rate Modeling: An Empirical Performance Analysis of the L vy Forward Price Model. SSRN Electronic Journal.
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